Equilibrium and Arbitrage in Incomplete Asset Markets with Fixed Prices

P.J.J. Herings; H.M. Polemarchakis

doi:10.1016/S0304-4068(02)00013-7

Equilibrium and Arbitrage in Incomplete Asset Markets with Fixed Prices

P.J.J. Herings^*
, H.M. Polemarchakis

^*Corresponding author for this work

Microeconomics & Public Economics

Research output: Contribution to journal › Article › Academic › peer-review

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Abstract

At arbitrary prices of commodities and assets, fix-price equilibria exist under weak assumptions: endowments need not satisfy an interiority condition, utility functions need only satisfy a very weak monotonicity requirement, and the asset return matrix allows for redundant assets. Prices of assets may permit arbitrage. At equilibrium, though restricted through endogenously determined trading constraints, arbitrage possibilities may persists in an example, an individual holds an arbitrage portfolio.

Original language	English
Pages (from-to)	133-155
Journal	Journal of Mathematical Economics
Volume	37
DOIs	https://doi.org/10.1016/S0304-4068(02)00013-7
Publication status	Published - 1 Jan 2002

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Equilibrium and Arbitrage in Incomplete Asset Markets with Fixed Prices

Abstract

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